vertex groups created from rigging do not work
When making a rig make sure that every part of the model has an Armature Modifier applied. This is easy when you Merge (CtrlJ in Object Mode) all of the objects you want to rig into one "big" object which means that you only have to apply the Armature Modifier once.

Another "feature" of Blender that comes to mind when thinking about rigging with custom weights is that the weigths are assigned with a vertex group. The vertex group's name has to be the same as the Bone's you want to bind the group to. You can always try to get away with automated weights or use them as a base for your own weightpaint, it gives a decent result most of the time.